Approximating Large Diversified Portfolios
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DOI: 10.1111/1467-9965.00081
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Citations
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Cited by:
- Herbertsson, Alexander, 2023. "Saddlepoint approximations for credit portfolio distributions with applications in equity risk management," Working Papers in Economics 839, University of Gothenburg, Department of Economics.
- Truc Le & Eckhard Platen, 2006.
"Approximating the Growth Optimal Portfolio with a Diversified World Stock Index,"
Research Paper Series
180, Quantitative Finance Research Centre, University of Technology, Sydney.
- Truc Le & Eckhard Platen, 2006. "Approximating the Growth Optimal Portfolio with a Diversified World Stock Index," Research Paper Series 184, Quantitative Finance Research Centre, University of Technology, Sydney.
- Eckhard Platen & Renata Rendek, 2009.
"Simulation of Diversified Portfolios in a Continuous Financial Market,"
Research Paper Series
264, Quantitative Finance Research Centre, University of Technology, Sydney.
- Eckhard Platen & Renata Rendek, 2010. "Simulation of Diversified Portfolios in a Continuous Financial Market," Research Paper Series 282, Quantitative Finance Research Centre, University of Technology, Sydney.
- Herbertsson, Alexander, 2023. "Risk management of stock portfolios with jumps at exogenous default events," Working Papers in Economics 836, University of Gothenburg, Department of Economics.
- Olivier Le Courtois, 2022. "On the Diversification of Fixed Income Assets," Risks, MDPI, vol. 10(2), pages 1-21, February.
- Mirela NICHITA, 2015. "An Overview On State Of Knowledge Of Risk And Risk Management In Economics Fields," SEA - Practical Application of Science, Romanian Foundation for Business Intelligence, Editorial Department, issue 7, pages 423-430, April.
- Eckhard Platen, 2004.
"Diversified Portfolios with Jumps in a Benchmark Framework,"
Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 11(1), pages 1-22, March.
- Eckhard Platen, 2004. "Diversified Portfolios with Jumps in a Benchmark Framework," Research Paper Series 129, Quantitative Finance Research Centre, University of Technology, Sydney.
- Lim Kian Guan & Liu Xiaoqing & Tsui Kai Chong, 2004. "Asymptotic dynamics and value-at-risk of large diversified portfolios in a jump-diffusion market," Quantitative Finance, Taylor & Francis Journals, vol. 4(2), pages 129-139.
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